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<table width="100%" summary="page for PetersenCL"><tr><td>PetersenCL</td><td style="text-align: right;">R Documentation</td></tr></table>

<h2>Petersen's Simulated Data for Assessing Clustered Standard Errors</h2>

<h3>Description</h3>

<p>Artificial balanced panel data set from Petersen (2009) for
illustrating and benchmarking clustered standard errors.
</p>


<h3>Usage</h3>

<pre>data("PetersenCL")</pre>


<h3>Format</h3>

<p>A data frame containing 5000 observations on 4 variables.
</p>

<dl>
<dt>firm</dt><dd><p>integer. Firm identifier (500 firms).</p>
</dd>
<dt>year</dt><dd><p>integer. Time variable (10 years per firm).</p>
</dd>
<dt>x</dt><dd><p>numeric. Independent regressor variable.</p>
</dd>
<dt>y</dt><dd><p>numeric. Dependent response variable.</p>
</dd>
</dl>



<h3>Details</h3>

<p>This simulated data set was created to illustrate and benchmark clustered standard errors.
The residual and the regressor variable both contain a firm effect, but no year effect.
Thus, standard errors clustered by firm are different from the OLS standard errors
and similarly double-clustered standard errors (by firm and year) are different from
the standard errors clustered by year.
</p>


<h3>Source</h3>

<p><a href="http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm">http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/test_data.htm</a>
</p>


<h3>References</h3>

<p>Petersen MA (2009).
&ldquo;Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches&rdquo;,
<em>The Review of Financial Studies</em>, <b>22</b>(1), 435&ndash;480.
doi: <a href="http://doi.org/10.1093/rfs/hhn053">10.1093/rfs/hhn053</a>
</p>


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